Why does knife project cut only one hole into a disc?
I got it to work by subdividing the target object a lot:

When the target was not subdivided, not all of the knife circles would cut, but once I subdivided, they all cut. I have no idea why though.
However, trying to get it to work on a cylinder is more difficult. The way I got around it was:

Add a circle mesh and set the Fill type to Triangle Fan:


Then when you do the knife projection, all the circles will cut:


Then you can extrude the cut circle into your cylinder